The Study of Volatility Spillover Effects of The Exchange Rate on Agricultural Industry Index Listed on The Stock Exchange
Financial markets are one of the most crucial markets in every country. Stock exchange market and exchange market are the most sensitive sectors of financial market. These markets are affected by fluctuations and business cycles in the economy and they reflect economic changes to the economy. On the...
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Ferdowsi University of Mashhad
2014-10-01
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doaj-d35f75f1c71940a98312232db5b16f292021-06-02T12:57:51ZfasFerdowsi University of Mashhadمجله اقتصاد و توسعه کشاورزی2008-47222423-39512014-10-01139171771848213The Study of Volatility Spillover Effects of The Exchange Rate on Agricultural Industry Index Listed on The Stock ExchangeArash DourandishFinancial markets are one of the most crucial markets in every country. Stock exchange market and exchange market are the most sensitive sectors of financial market. These markets are affected by fluctuations and business cycles in the economy and they reflect economic changes to the economy. On the other hand, disturbance in one or both markets cause concerns among policy makers. Dynamic interactions between these two markets encourage policy makers and researchers to carry out some analysis considering more details. In this study, effects of volatility of exchange market and agricultural processing industries stock market on themselves and each other have been investigated by GARCH model. Weekly data between April 2006 and January of 20014 was used. The results show that the past volatility of exchange market affects the current volatility of this market. The past shock in exchange market has effects on the current volatility of this market , the current volatility of food and beverage industries as well as the sugar industry market. Also, the past shock in sugar industries market affects its current volatility and the current volatility of exchange market and food and beverages industries market. Because changes in exchange rate affect revenues and costs of the mentioned industries, preventing the exchange rate market from fluctuations and putting it in stable by making balance between demand and supply, also controlling the central bank and other regulatory agencies will prevent these two markets from fluctuations. It is, therefore, recommended that policy makers impose monetary and financial policies that reduce volatility in capital and exchange markets.http://jead.um.ac.ir/index.php/jead/article/view/35908Exchange rate market, Agricultural processing index stock exchange market, Volatility, GARCH model |
collection |
DOAJ |
language |
fas |
format |
Article |
sources |
DOAJ |
author |
Arash Dourandish |
spellingShingle |
Arash Dourandish The Study of Volatility Spillover Effects of The Exchange Rate on Agricultural Industry Index Listed on The Stock Exchange مجله اقتصاد و توسعه کشاورزی Exchange rate market, Agricultural processing index stock exchange market, Volatility, GARCH model |
author_facet |
Arash Dourandish |
author_sort |
Arash Dourandish |
title |
The Study of Volatility Spillover Effects of The Exchange Rate on Agricultural Industry Index Listed on The Stock Exchange |
title_short |
The Study of Volatility Spillover Effects of The Exchange Rate on Agricultural Industry Index Listed on The Stock Exchange |
title_full |
The Study of Volatility Spillover Effects of The Exchange Rate on Agricultural Industry Index Listed on The Stock Exchange |
title_fullStr |
The Study of Volatility Spillover Effects of The Exchange Rate on Agricultural Industry Index Listed on The Stock Exchange |
title_full_unstemmed |
The Study of Volatility Spillover Effects of The Exchange Rate on Agricultural Industry Index Listed on The Stock Exchange |
title_sort |
study of volatility spillover effects of the exchange rate on agricultural industry index listed on the stock exchange |
publisher |
Ferdowsi University of Mashhad |
series |
مجله اقتصاد و توسعه کشاورزی |
issn |
2008-4722 2423-3951 |
publishDate |
2014-10-01 |
description |
Financial markets are one of the most crucial markets in every country. Stock exchange market and exchange market are the most sensitive sectors of financial market. These markets are affected by fluctuations and business cycles in the economy and they reflect economic changes to the economy. On the other hand, disturbance in one or both markets cause concerns among policy makers. Dynamic interactions between these two markets encourage policy makers and researchers to carry out some analysis considering more details. In this study, effects of volatility of exchange market and agricultural processing industries stock market on themselves and each other have been investigated by GARCH model. Weekly data between April 2006 and January of 20014 was used. The results show that the past volatility of exchange market affects the current volatility of this market. The past shock in exchange market has effects on the current volatility of this market , the current volatility of food and beverage industries as well as the sugar industry market. Also, the past shock in sugar industries market affects its current volatility and the current volatility of exchange market and food and beverages industries market. Because changes in exchange rate affect revenues and costs of the mentioned industries, preventing the exchange rate market from fluctuations and putting it in stable by making balance between demand and supply, also controlling the central bank and other regulatory agencies will prevent these two markets from fluctuations. It is, therefore, recommended that policy makers impose monetary and financial policies that reduce volatility in capital and exchange markets. |
topic |
Exchange rate market, Agricultural processing index stock exchange market, Volatility, GARCH model |
url |
http://jead.um.ac.ir/index.php/jead/article/view/35908 |
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